数学物理学报(英文版) ›› 2020, Vol. 40 ›› Issue (6): 1941-1960.doi: 10.1007/s10473-020-0621-8

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ASYMPTOTICS OF THE CROSS-VARIATION OF YOUNG INTEGRALS WITH RESPECT TO A GENERAL SELF-SIMILAR GAUSSIAN PROCESS

Soukaina DOUISSI1,2, Khalifa ES-SEBAIY3, Soufiane MOUSSATEN4   

  1. 1. Laboratory LIBMA, Faculty Semlalia, University Cadi Ayyad, 40000 Marrakech, Morocco;
    2. Department of Statistics and Probability, Michigan State University, East Lansing, MI 48824, USA;
    3. Department of Mathematics, Faculty of Science, Kuwait University, Kuwait;
    4. Faculty of Sciences Mohamed first University, Oujda, Morocco
  • 收稿日期:2019-04-23 修回日期:2019-10-15 出版日期:2020-12-25 发布日期:2020-12-30
  • 通讯作者: Soukaina DOUISSI,E-mail:douissi.soukaina@gmail.com E-mail:douissi.soukaina@gmail.com
  • 作者简介:Khalifa ES-SEBAIY,E-mail:khalifa.essebaiy@ku.edu.kw;Soufiane MOUSSATEN,E-mail:moussaten.ump@gmail.com
  • 基金资助:
    The first author was supported by the Fulbright joint supervision program for PhD students for the academic year 2018-2019 between Cadi Ayyad University and Michigan State University.

ASYMPTOTICS OF THE CROSS-VARIATION OF YOUNG INTEGRALS WITH RESPECT TO A GENERAL SELF-SIMILAR GAUSSIAN PROCESS

Soukaina DOUISSI1,2, Khalifa ES-SEBAIY3, Soufiane MOUSSATEN4   

  1. 1. Laboratory LIBMA, Faculty Semlalia, University Cadi Ayyad, 40000 Marrakech, Morocco;
    2. Department of Statistics and Probability, Michigan State University, East Lansing, MI 48824, USA;
    3. Department of Mathematics, Faculty of Science, Kuwait University, Kuwait;
    4. Faculty of Sciences Mohamed first University, Oujda, Morocco
  • Received:2019-04-23 Revised:2019-10-15 Online:2020-12-25 Published:2020-12-30
  • Contact: Soukaina DOUISSI,E-mail:douissi.soukaina@gmail.com E-mail:douissi.soukaina@gmail.com
  • Supported by:
    The first author was supported by the Fulbright joint supervision program for PhD students for the academic year 2018-2019 between Cadi Ayyad University and Michigan State University.

摘要: We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of order β ∈ (1/2, 3/4] is normal according to the values of β. We apply our results to two self-similar Gaussian processes:the subfractional Brownian motion and the bifractional Brownian motion.

关键词: self-similar Gaussian processes, Young integral, Breuer-Major theorem, subfractional Brownian motion, bifractional Brownian motion

Abstract: We show in this work that the limit in law of the cross-variation of processes having the form of Young integral with respect to a general self-similar centered Gaussian process of order β ∈ (1/2, 3/4] is normal according to the values of β. We apply our results to two self-similar Gaussian processes:the subfractional Brownian motion and the bifractional Brownian motion.

Key words: self-similar Gaussian processes, Young integral, Breuer-Major theorem, subfractional Brownian motion, bifractional Brownian motion

中图分类号: 

  • 60F05